# Game-theoretic optimal portfolios in continuous time

@article{Garivaltis2018GametheoreticOP,
title={Game-theoretic optimal portfolios in continuous time},
author={Alex Garivaltis},
journal={Economic Theory Bulletin},
year={2018},
pages={1-9}
}
• Alex Garivaltis
• Published 2018
• Mathematics, Economics
• Economic Theory Bulletin
• We consider a two-person trading game in continuous time where each player chooses a constant rebalancing rule b that he must adhere to over [0, t]. If $$V_t(b)$$Vt(b) denotes the final wealth of the rebalancing rule b, then Player 1 (the “numerator player”) picks b so as to maximize $$E[V_t(b)/V_t(c)]$$E[Vt(b)/Vt(c)], while Player 2 (the “denominator player”) picks c so as to minimize it. In the unique Nash equilibrium, both players use the continuous-time Kelly rule b^*=c^*=\varSigma ^{-1… CONTINUE READING
7 Citations

#### References

SHOWING 1-10 OF 10 REFERENCES